Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change Relating to the Listing and Trading of Shares of the iShares® MSCI Denmark Capped Investable Market Index Fund, 8315-8318 [2012-3331]
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Federal Register / Vol. 77, No. 30 / Tuesday, February 14, 2012 / Notices
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of the filing also
will be available for inspection and
copying at the principal office of the
Exchange. All comments received will
be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–
NASDAQ–2012–022 and should be
submitted on or before March 6, 2012.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.10
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–3334 Filed 2–13–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–66357; File No. SR–BATS–
2012–004]
Self-Regulatory Organizations; BATS
Exchange, Inc.; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change Relating to the Listing
and Trading of Shares of the iShares®
MSCI Denmark Capped Investable
Market Index Fund
mstockstill on DSK4VPTVN1PROD with NOTICES
February 8, 2012.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that on January
24, 2012, BATS Exchange, Inc.
(‘‘Exchange’’ or ‘‘BATS’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been prepared
by the Exchange. The Exchange filed the
proposal as a ‘‘non-controversial’’
proposed rule change pursuant to
Section 19(b)(3)(A) of the Act 3 and Rule
10 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A).
1 15
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Jkt 226001
19b–4(f)(6) thereunder,4 which renders
the proposal effective upon filing with
the Commission. The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to list and
trade shares of the iShares® MSCI
Denmark Capped Investable Market
Index Fund as Index Fund Shares
pursuant to Exchange Rule 14.11(c).
The text of the proposed rule change
is available at the Exchange’s Web site
at www.batstrading.com, at the
principal office of the Exchange, and at
the Commission’s Public Reference
Room.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in Sections A, B, and C below, of
the most significant parts of such
statements.
(A) Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to list and
trade shares (‘‘Shares’’) of the following
fund of the iShares Trust (‘‘Trust’’):
iShares® MSCI Denmark Capped
Investable Market Index Fund (‘‘Fund’’)
pursuant to Exchange Rule 14.11(c)
related to Index Fund Shares.5
CFR 240.19b–4(f)(6).
Index Fund Share is a security ‘‘(i) that is
issued by an open-end management investment
company based on a portfolio of stocks or fixed
income securities or a combination thereof, that
seeks to provide investment results that correspond
generally to the price and yield performance or total
return performance of a specified foreign or
domestic stock index, fixed income securities index
or combination thereof; (ii) that is issued by such
an open-end management investment company in
a specified aggregate minimum number in return for
a deposit of specified numbers of shares of stock
and/or a cash amount, a specified portfolio of fixed
income securities and/or a cash amount and/or a
combination of the above, with a value equal to the
next determined net asset value; and (iii) that, when
aggregated in the same specified minimum number,
may be redeemed at a holder’s request by such
open-end investment company which will pay to
8315
According to the registration statement,6
the Fund seeks investment results that
correspond generally to the price and
yield performance, before fees and
expenses, of the MSCI Denmark IMI 25/
50 Index (‘‘Index’’). The Index is
sponsored by MSCI, Inc. (‘‘Index
Provider’’),7 which is independent of
the Fund, and BlackRock Fund Advisors
is the investment adviser to the Fund.
The Index Provider determines the
composition and relative weightings of
the securities in the Index and publishes
information regarding the market value
of the Index. The Index is a custom, free
float-adjusted market capitalization
weighted index designed to measure the
performance of equity securities of
companies whose market capitalization
represents the top 85% of companies in
the Danish securities market. The Index
consists of stocks traded primarily on
the Danish stock market, NASDAQ
OMX Copenhagen. Component
companies include financial, health
care, and industrial companies.
The Exchange is submitting this
proposed rule change because the Index
for the Fund does not meet all of the
‘‘generic’’ listing requirements of
Exchange Rule 14.11(c) applicable to the
listing of Index Fund Shares based on
international or global indexes. The
Index meets all such requirements
except for those set forth in Rule
14.11(c)(3)(A)(ii)(b). Specifically, the
Index fails to meet the requirement that
component stocks that in the aggregate
account for at least 90% of the weight
of the index or portfolio each shall have
a minimum worldwide monthly trading
volume during each of the last six
months of at least 250,000 shares. As of
January 13, 2012, 83.22% of the Index
weight had at least 250,000 shares
traded during each of the previous six
months. Accordingly, the Index only
narrowly misses satisfaction of the
monthly trading volume requirement of
Rule 14.11(c)(3)(A)(ii)(b). The Exchange
notes that other products have become
immediately effective based on
4 17
5 An
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the redeeming holder the stock and/or cash, fixed
income securities and/or cash and/or a combination
thereof, with a value equal to the next determined
net asset value.’’ See Exchange Rule 14.11(c).
6 See the Trust’s Registration Statement for the
Fund on Form N–1A, dated December 16, 1999
(File Nos. 333–92935 and 811–09729) (‘‘Registration
Statement’’).
7 The Index Provider, MSCI, Inc., is not a brokerdealer or fund advisor. The Exchange notes that
pursuant to the Exchange’s rules ‘‘any advisory
committee, supervisory board, or similar entity
* * * that makes decisions on the index or
portfolio composition, methodology and related
matters, must implement and maintain, or be
subject to, procedures designed to prevent the use
and dissemination of material non-public
information regarding the applicable index.’’ See
Rule 14.11(c)(3)(B)(i) and (iii).
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14FEN1
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Federal Register / Vol. 77, No. 30 / Tuesday, February 14, 2012 / Notices
relatively narrow misses that are similar
in nature.8 The Exchange also notes that
average volumes exceeded 250,000
shares for 90.73% of the Index weight
when volumes are considered as an
average over the past 6 months rather
than looking at each of the past 6
months individually.
The Exchange represents that: (1) The
Shares of the Fund currently satisfy all
of the generic listing standards for Index
Fund Shares except for the volume
requirement under Rule
14.11(c)(3)(A)(ii)(b), as described above;
(2) the continued listing standards
under Exchange Rule 14.11(c)(9)(B)
applicable to Index Fund Shares shall
apply to the Shares; and (3) the Trust is
required to comply with Rule 10A–3
under the Act for the initial and
continued listing of the Shares.9 In
addition, the Exchange represents that
the Shares will comply with all other
requirements applicable to Index Fund
Shares including, but not limited to,
requirements relating to the
dissemination of key information such
as the Index value and intraday
indicative value, the rules governing the
trading of equity securities, trading
hours, trading halts, surveillance,10 and
the Information Circulars to members of
the Exchange, as set forth in Exchange
rules applicable to exchange traded
funds (Index Fund Shares) and in the
Commission’s order approving the
generic listing rules applicable to the
listing and trading of exchange traded
funds (Index Fund Shares).11 Detailed
descriptions of the Fund, the Index, the
Index Provider, procedures for creating
and redeeming Shares, transaction fees
and expenses, risks, dividends,
distributions, taxes, and reports to be
distributed to beneficial owners of the
Shares can be found in the Trust’s
Registration Statement and/or on the
Web site for the Fund (https://
www.ishares.com), as applicable.
mstockstill on DSK4VPTVN1PROD with NOTICES
2. Statutory Basis
The rule change proposed in this
submission is consistent with the
requirements of the Act and the rules
and regulations thereunder that are
8 See, e.g., Securities Exchange Act Release No.
59471 (March 6, 2009), 74 FR 9862 (February 27,
2009) (SR–NYSEArca–2009–13).
9 17 CFR 240.10A–3.
10 The Exchange may obtain information for
surveillance purposes via the Intermarket
Surveillance Group (‘‘ISG’’) from other exchanges
who are members of ISG. The Exchange notes that
the Index component stocks are listed and traded
on NASDAQ OMX Copenhagen A/S, which is a
member of the ISG. For a list of the current
members of ISG, see www.isgportal.org.
11 See Securities Exchange Act Release No. 65225
(August 30, 2011), 76 FR 55148 (September 6,
2011).
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21:57 Feb 13, 2012
Jkt 226001
applicable to a national securities
exchange, and, in particular, with the
requirements of Section 6(b) of the
Act.12 Specifically, the proposed change
is consistent with Section 6(b)(5) of the
Act 13 because it is designed to prevent
fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to remove
impediments to, and perfect the
mechanism of, a free and open market
and a national market system and, in
general, to protect investors and the
public interest.
The Exchange believes that the
proposed rule change is designed to
prevent fraudulent and manipulative
acts and practices and is generally
designed to protect investors and the
public interest in that the Shares will be
listed and traded on the Exchange
pursuant to the initial and continued
listing criteria in Exchange Rule
14.11(c). As noted above, the Shares of
the Fund currently satisfy all of the
generic listing standards for Index Fund
Shares except for the volume
requirement under Rule
14.11(c)(3)(A)(ii)(b), which the Index
only narrowly misses. The Exchange
also reiterates that the continued listing
standards under Exchange Rule
14.11(c)(9)(B) applicable to Index Fund
Shares shall apply to the Shares, and the
Trust is required to comply with Rule
10A–3 under the Act for the initial and
continued listing of the Shares.14 In
addition, the Exchange represents that
the Shares will comply with all other
requirements applicable to Index Fund
Shares including, but not limited to,
requirements relating to the
dissemination of key information such
as the Index value and intraday
indicative value, the rules governing the
trading of equity securities, trading
hours, trading halts, surveillance, and
the Information Circulars to members of
the Exchange, as set forth in Exchange
rules applicable to exchange traded
funds (Index Fund Shares) and in the
Commission’s order approving the
generic listing rules applicable to the
listing and trading of exchange traded
funds (Index Fund Shares). The
Exchange has in place surveillance
procedures that are adequate to properly
monitor trading in the Shares in all
trading sessions and to deter and detect
violations of Exchange rules and
applicable federal securities laws. The
Exchange may obtain information via
ISG from other exchanges that are
members of ISG or with which the
Exchange has entered into a
12 15
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
14 17 CFR 240.10A–3.
comprehensive surveillance sharing
agreement. The Exchange notes that the
Index component stocks are listed and
traded on NASDAQ OMX Copenhagen
A/S, which is a member of the ISG.
The proposed rule change is designed
to promote just and equitable principles
of trade and to protect investors and the
public interest in that a large amount of
information is publicly available
regarding the Fund and the Shares,
thereby promoting market transparency.
The Consolidated Tape Association will
disseminate real time trade and quote
information for the Shares. In addition,
the current Index value will be widely
disseminated by one or more major
market data vendors at least every 60
seconds during the Exchange’s regular
market session. Moreover, prior to the
commencement of trading, the Exchange
will inform its Members in an
Information Circular of the special
characteristics and risks associated with
trading the Shares. The Exchange will
halt trading in the Shares in accordance
with Exchange Rules. The grounds for a
halt include a halt because the intraday
indicative value of the security and/or
the value of its underlying index are not
being disseminated as required, a halt
for other regulatory reasons or due to
other conditions or circumstances
deemed to be detrimental to the
maintenance of a free and orderly
market. In addition, as noted above,
investors will have ready access to
information regarding the Fund, the
current Index value, the intraday
indicative value, and quotation and last
sale information for the Shares.
The Exchange believes that the
proposed rule change is designed to
remove impediments to, and perfect the
mechanism of, a free and open market
and a national market system in that the
listing and trading of the Fund on the
Exchange will enhance competition
among market participants, which the
Exchange believes will benefit investors
and the marketplace. The Exchange is
commencing a listings business at a
time when there are two dominant
primary listing venues, the New York
Stock Exchange and Nasdaq. Because
the proposal will allow the Fund to list
and trade on the Exchange, and without
the proposal the Fund would likely be
listed on another market, the Exchange
believes that the proposal will provide
companies with another option for
raising capital in the public markets,
thereby promoting the aforementioned
principles discussed in Section 6(b)(5)
of the Act.15 In addition, as noted above,
investors will have ready access to
information regarding the Fund’s
13 15
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15 15
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E:\FR\FM\14FEN1.SGM
U.S.C. 78f(b)(5).
14FEN1
Federal Register / Vol. 77, No. 30 / Tuesday, February 14, 2012 / Notices
holdings, the current Index value, the
intraday indicative value, and quotation
and last sale information for the Shares.
(B) Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change imposes any
burden on competition.
mstockstill on DSK4VPTVN1PROD with NOTICES
(C) Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Changes and Timing for
Commission Action
The Exchange has filed the proposed
rule change pursuant to Section
19(b)(3)(A)(iii) of the Act 16 and Rule
19b–4(f)(6) thereunder.17 Because the
foregoing proposed rule does not (i)
significantly affect the protection of
investors or the public interest; (ii)
impose any significant burden on
competition; and (iii) become operative
for 30 days from the date on which it
was filed, or such shorter time as the
Commission may designate if consistent
with the protection of investors and the
public interest, provided that the selfregulatory organization has given the
Commission written notice of its intent
to file the proposed rule change at least
five business days prior to the date of
filing of the proposed rule change or
such shorter time as designated by the
Commission,18 the proposed rule
change has become effective pursuant to
Section 19(b)(3)(A) of the Act 19 and
Rule 19b–4(f)(6) thereunder.20
The Commission believes that the
proposed rule change is properly
designated as ‘‘non-controversial’’ under
Rule 19b–4(f)(6) because the Index for
the Fund fails to meet the requirements
set forth in Rule 14.11(c)(3)(A)(ii)(b) by
a small amount, and the Shares of the
Fund currently satisfy all of the other
applicable generic listing standards
under Rule 14.11(c)(3)(A)(ii) and all
other requirements applicable to Index
Fund Shares, as set forth in the
Exchange’s rules. As described above,
83.22% of the Fund is comprised of
component stocks with over 250,000
shares traded in each of the last six
months. The Exchange represents that
the Shares of the Fund currently satisfy
16 15
U.S.C. 78s(b)(3)(A)(iii).
CFR 240.19b–4(f)(6).
18 The Commission notes that the Exchange has
satisfied this requirement.
19 15 U.S.C. 78s(b)(3)(A).
20 17 CFR 240.19b–4(f)(6).
all of the generic listing standards for
Index Fund Shares except for the
volume requirement under Rule
14.11(c)(3)(A)(ii)(b), the continued
listing standards under Exchange Rule
14.11(c)(9)(B) applicable to Index Fund
Shares shall apply to the Shares, and the
Trust is required to comply with Rule
10A–3 under the Act 21 for the initial
and continued listing of the Shares. In
addition, the Exchange represents that
the Shares will comply with all other
requirements applicable to Index Fund
Shares including, but not limited to,
requirements relating to the
dissemination of key information such
as the Index value and intraday
indicative value, the rules governing the
trading of equity securities, trading
hours, trading halts, surveillance, and
the Information Circulars to members of
the Exchange, as set forth in Exchange
rules applicable to Index Fund Shares
and in the Commission’s order
approving the generic listing rules
applicable to the listing and trading of
Index Fund Shares.
A proposed rule change filed under
Rule 19b–4(f)(6) normally does not
become operative for 30 days after the
date of filing. However, Rule 19b–
4(f)(6)(iii) 22 permits the Commission to
designate a shorter time if such action
is consistent with the protection of
investors and the public interest. The
Exchange has asked that the
Commission waive the 30 day operative
delay so that the proposed rule change
may become immediately effective in
accordance with Section 19(b)(3)(A) of
the Act 23 and Rule 19b–4(f)(6)
thereunder.24 The Commission believes
that waiver of the operative delay is
consistent with the protection of
investors and the public interest. The
Commission notes that the Index
narrowly misses only one component of
the criteria applicable to Index Fund
Shares and that the Shares of the Fund
currently satisfy all of the other generic
listing standards under Exchange Rule
14.11(c) and all other requirements
applicable to Index Fund Shares, as set
forth in Exchange rules and prior
Commission orders approving the
generic listing rules applicable to the
listing and trading of Index Fund
Shares. The Commission believes that
the listing and trading of the Shares do
not present any novel regulatory issues
or impose any significant burden on
competition, and that waiving the 30day operative delay would benefit the
market and investors by providing
8317
market participants with additional
investing choices. For these reasons, the
Commission designates the proposal
operative upon filing.25
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
BATS–2012–004 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Elizabeth M. Murphy, Secretary,
Securities and Exchange Commission,
100 F Street NE., Washington, DC
20549.
All submissions should refer to File
Number SR–BATS–2012–004. This file
number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for Web site viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE.,
Washington, DC 20549, on official
business days between the hours of 10
a.m. and 3 p.m. Copies of such filing
17 17
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21 17
CFR 240.10A–3.
CFR 240.19b–4(f)(6)(iii)
23 15 U.S.C. 78s(b)(3)(A).
24 17 CFR 240.19b–4(f)(6).
22 17
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25 For purposes only of waiving the 30-day
operative delay, the Commission has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
E:\FR\FM\14FEN1.SGM
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Federal Register / Vol. 77, No. 30 / Tuesday, February 14, 2012 / Notices
also will be available for inspection and
copying at the principal office of the
Exchange. All comments received will
be posted without change; the
Commission does not edit personal
identifying information from
submissions. You should submit only
information that you wish to make
available publicly. All submissions
should refer to File Number SR–BATS–
2012–004 and should be submitted on
or before March 6, 2012.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.26
Kevin M. O’Neill,
Deputy Secretary.
[FR Doc. 2012–3331 Filed 2–13–12; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–66354; File No. SR–CME–
2012–03]
Self-Regulatory Organizations;
Chicago Mercantile Exchange, Inc.;
Notice of Filing and Order Granting
Accelerated Approval of Proposed
Rule Change to Amend Certain
Aspects of the Performance Bond
Regime Applicable to Cleared Only
OTC FX Swaps
February 8, 2012.
mstockstill on DSK4VPTVN1PROD with NOTICES
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on January
30, 2012, the Chicago Mercantile
Exchange Inc. (‘‘CME’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change described in Items I and II
below, which items have been prepared
primarily by CME. The Commission is
publishing this Notice and Order to
solicit comments on the proposed rule
change from interested persons and to
approve the proposed rule change on an
accelerated basis.
I. Self-Regulatory Organization’s
Statement of Terms of Substance of the
Proposed Rule Change
CME proposes to make certain
changes that are related to its current
cleared-only OTC foreign currency
(‘‘FX’’) product offering. The proposed
rule changes 3 would add Price
26 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 The text of the proposed changes does not
appear in CME’s rulebook but is available on CME’s
Web site at https://www.cmegroup.com/rulebook/
files/s_6105_otc_fx_pai_cash_mk_to_mkt_ser_
020112_revised.pdf.
1 15
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21:57 Feb 13, 2012
Jkt 226001
Alignment Interest (‘‘PAI’’) functionality
to current ‘‘cash mark-to-market’’
performance bond regime that applies to
CME’s cleared-only OTC FX offering.
A description of the revised
performance bond regime with the
addition of PAI is included below:
*
*
*
*
*
CME Forwards With Cash Mark-ToMarket
In accordance with customer demand
CME has begun clearing privatelynegotiated transactions in forwards with
cash mark-to-market.
Until October 18, 2011, all forwards
cleared by CME had a collateralized
mark-to-market. Each day, for each open
forward trade, mark-to-market is
calculated, from original trade price to
the current end-of-day settlement price.
These amounts are netted together and
‘‘collateralized’’. In other words, if a
negative number (a loss), they increase
the initial margin (performance bond)
requirement, thereby increasing the
amount of collateral that must be posted
to meet that margin requirement. If a
positive number (a gain), they decrease
the initial margin requirement.
With cash mark-to-market
implemented on October 18, 2011, the
mark-to-market value for the previous
clearing business date is subtracted from
the mark-to-market amount for the
current clearing date. These amounts are
netted down and become part of the
total banked cash flow for the currency
in which they are denominated. It is a
very simple change for this cash markto-market as opposed to collateralized
mark-to-market.
There is an additional feature for FX
forwards, and in particular for nondeliverable forwards (NDF’s)—forwards
where one currency of the pair is not
bankable. We call this a forward where
the cash mark-to-market is flipped, or
inverted.
Take for example a forward on the
exchange rate between the US Dollar
(USD) and the Chilean Peso (CLP). The
quantity is specified in USD, and the
price is quoted as a specified amount of
CLP per one USD. Normally, the markto-market amount would be
denominated in CLP, also referred to as
the contra currency. But with the
flipped mark-to-market, the amount is
converted to USD by dividing by today’s
end-of-day settlement price for the
contract.
Calculating Mark-to-Market and
Change in Mark-to-Market
In the normal case, the mark-tomarket amount for a forward is
calculated as:
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• Subtract the original trade price
from the end-of-day settlement price.
• Express the trade quantity as a
positive number for a buy or a negative
number for a sell.
• Take the product of the price
difference, the trade quantity, the
contract value factor, and the discount
factor.
• Round normally to the normal
precision of the currency in which the
mark-to-market amount is denominated.
(the contra currency for an FX forward)
In other words:
(S ¥ T) * Q * CVF * DF
Where:
S is the end-of-day settlement price
T is the original trade price
Q is the trade quantity
CVF is the contract value factor
DF is the discount factor
In the inverse case, the mark-tomarket amount is calculated in the exact
same way, except that it includes a
division by the daily settlement price:
• Subtract the original trade price
from the end-of-day settlement price.
• Express the trade quantity as a
positive number for a buy or a negative
number for a sell.
• Take the product of the price
difference, the trade quantity, the
contract value factor, and the discount
factor.
• Divide this result by the end-of-day
settlement price.
• Round normally to the normal
precision of the currency in which the
mark-to-market amount is denominated.
(the primary currency for an FX
forward)
In other words:
[(S ¥ T) * Q * CVF * DF]/S
In either case, the settlement variation
amount to be banked is calculated by
subtracting the mark-to-market amount
for the previous clearing business date
from the amount for the current
business date.
Cash-Settled and Physically-Delivered
Forwards
At maturity, forwards with cash markto-market can be either cash-settled or
physically-delivered, exactly as for
forwards with collateralized mark-tomarket.
For a cash-settled forward, at contract
maturity (end-of-day on the ‘‘clearing
settlement date’’):
• The mark-to-market amount is set to
zero.
• We then calculate the settlement
variation amount to be banked exactly
as on any other day—by subtracting the
previous day’s value for mark-to-market
from the current day’s (zero) value.
• The mark-to-market amount is then
calculated one final time—from original
E:\FR\FM\14FEN1.SGM
14FEN1
]]>Agencies
[Federal Register Volume 77, Number 30 (Tuesday, February 14, 2012)]
[Notices]
[Pages 8315-8318]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2012-3331]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-66357; File No. SR-BATS-2012-004]
Self-Regulatory Organizations; BATS Exchange, Inc.; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change Relating
to the Listing and Trading of Shares of the iShares[supreg] MSCI
Denmark Capped Investable Market Index Fund
February 8, 2012.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on January 24, 2012, BATS Exchange, Inc. (``Exchange'' or ``BATS'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I and II below, which Items
have been prepared by the Exchange. The Exchange filed the proposal as
a ``non-controversial'' proposed rule change pursuant to Section
19(b)(3)(A) of the Act \3\ and Rule 19b-4(f)(6) thereunder,\4\ which
renders the proposal effective upon filing with the Commission. The
Commission is publishing this notice to solicit comments on the
proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to list and trade shares of the
iShares[supreg] MSCI Denmark Capped Investable Market Index Fund as
Index Fund Shares pursuant to Exchange Rule 14.11(c).
The text of the proposed rule change is available at the Exchange's
Web site at www.batstrading.com, at the principal office of the
Exchange, and at the Commission's Public Reference Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of, and basis for, the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
Sections A, B, and C below, of the most significant parts of such
statements.
(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to list and trade shares (``Shares'') of the
following fund of the iShares Trust (``Trust''): iShares[supreg] MSCI
Denmark Capped Investable Market Index Fund (``Fund'') pursuant to
Exchange Rule 14.11(c) related to Index Fund Shares.\5\ According to
the registration statement,\6\ the Fund seeks investment results that
correspond generally to the price and yield performance, before fees
and expenses, of the MSCI Denmark IMI 25/50 Index (``Index''). The
Index is sponsored by MSCI, Inc. (``Index Provider''),\7\ which is
independent of the Fund, and BlackRock Fund Advisors is the investment
adviser to the Fund. The Index Provider determines the composition and
relative weightings of the securities in the Index and publishes
information regarding the market value of the Index. The Index is a
custom, free float-adjusted market capitalization weighted index
designed to measure the performance of equity securities of companies
whose market capitalization represents the top 85% of companies in the
Danish securities market. The Index consists of stocks traded primarily
on the Danish stock market, NASDAQ OMX Copenhagen. Component companies
include financial, health care, and industrial companies.
---------------------------------------------------------------------------
\5\ An Index Fund Share is a security ``(i) that is issued by an
open-end management investment company based on a portfolio of
stocks or fixed income securities or a combination thereof, that
seeks to provide investment results that correspond generally to the
price and yield performance or total return performance of a
specified foreign or domestic stock index, fixed income securities
index or combination thereof; (ii) that is issued by such an open-
end management investment company in a specified aggregate minimum
number in return for a deposit of specified numbers of shares of
stock and/or a cash amount, a specified portfolio of fixed income
securities and/or a cash amount and/or a combination of the above,
with a value equal to the next determined net asset value; and (iii)
that, when aggregated in the same specified minimum number, may be
redeemed at a holder's request by such open-end investment company
which will pay to the redeeming holder the stock and/or cash, fixed
income securities and/or cash and/or a combination thereof, with a
value equal to the next determined net asset value.'' See Exchange
Rule 14.11(c).
\6\ See the Trust's Registration Statement for the Fund on Form
N-1A, dated December 16, 1999 (File Nos. 333-92935 and 811-09729)
(``Registration Statement'').
\7\ The Index Provider, MSCI, Inc., is not a broker-dealer or
fund advisor. The Exchange notes that pursuant to the Exchange's
rules ``any advisory committee, supervisory board, or similar entity
* * * that makes decisions on the index or portfolio composition,
methodology and related matters, must implement and maintain, or be
subject to, procedures designed to prevent the use and dissemination
of material non-public information regarding the applicable index.''
See Rule 14.11(c)(3)(B)(i) and (iii).
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The Exchange is submitting this proposed rule change because the
Index for the Fund does not meet all of the ``generic'' listing
requirements of Exchange Rule 14.11(c) applicable to the listing of
Index Fund Shares based on international or global indexes. The Index
meets all such requirements except for those set forth in Rule
14.11(c)(3)(A)(ii)(b). Specifically, the Index fails to meet the
requirement that component stocks that in the aggregate account for at
least 90% of the weight of the index or portfolio each shall have a
minimum worldwide monthly trading volume during each of the last six
months of at least 250,000 shares. As of January 13, 2012, 83.22% of
the Index weight had at least 250,000 shares traded during each of the
previous six months. Accordingly, the Index only narrowly misses
satisfaction of the monthly trading volume requirement of Rule
14.11(c)(3)(A)(ii)(b). The Exchange notes that other products have
become immediately effective based on
[[Page 8316]]
relatively narrow misses that are similar in nature.\8\ The Exchange
also notes that average volumes exceeded 250,000 shares for 90.73% of
the Index weight when volumes are considered as an average over the
past 6 months rather than looking at each of the past 6 months
individually.
---------------------------------------------------------------------------
\8\ See, e.g., Securities Exchange Act Release No. 59471 (March
6, 2009), 74 FR 9862 (February 27, 2009) (SR-NYSEArca-2009-13).
---------------------------------------------------------------------------
The Exchange represents that: (1) The Shares of the Fund currently
satisfy all of the generic listing standards for Index Fund Shares
except for the volume requirement under Rule 14.11(c)(3)(A)(ii)(b), as
described above; (2) the continued listing standards under Exchange
Rule 14.11(c)(9)(B) applicable to Index Fund Shares shall apply to the
Shares; and (3) the Trust is required to comply with Rule 10A-3 under
the Act for the initial and continued listing of the Shares.\9\ In
addition, the Exchange represents that the Shares will comply with all
other requirements applicable to Index Fund Shares including, but not
limited to, requirements relating to the dissemination of key
information such as the Index value and intraday indicative value, the
rules governing the trading of equity securities, trading hours,
trading halts, surveillance,\10\ and the Information Circulars to
members of the Exchange, as set forth in Exchange rules applicable to
exchange traded funds (Index Fund Shares) and in the Commission's order
approving the generic listing rules applicable to the listing and
trading of exchange traded funds (Index Fund Shares).\11\ Detailed
descriptions of the Fund, the Index, the Index Provider, procedures for
creating and redeeming Shares, transaction fees and expenses, risks,
dividends, distributions, taxes, and reports to be distributed to
beneficial owners of the Shares can be found in the Trust's
Registration Statement and/or on the Web site for the Fund (https://www.ishares.com), as applicable.
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\9\ 17 CFR 240.10A-3.
\10\ The Exchange may obtain information for surveillance
purposes via the Intermarket Surveillance Group (``ISG'') from other
exchanges who are members of ISG. The Exchange notes that the Index
component stocks are listed and traded on NASDAQ OMX Copenhagen A/S,
which is a member of the ISG. For a list of the current members of
ISG, see www.isgportal.org.
\11\ See Securities Exchange Act Release No. 65225 (August 30,
2011), 76 FR 55148 (September 6, 2011).
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2. Statutory Basis
The rule change proposed in this submission is consistent with the
requirements of the Act and the rules and regulations thereunder that
are applicable to a national securities exchange, and, in particular,
with the requirements of Section 6(b) of the Act.\12\ Specifically, the
proposed change is consistent with Section 6(b)(5) of the Act \13\
because it is designed to prevent fraudulent and manipulative acts and
practices, to promote just and equitable principles of trade, to remove
impediments to, and perfect the mechanism of, a free and open market
and a national market system and, in general, to protect investors and
the public interest.
---------------------------------------------------------------------------
\12\ 15 U.S.C. 78f(b).
\13\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes that the proposed rule change is designed to
prevent fraudulent and manipulative acts and practices and is generally
designed to protect investors and the public interest in that the
Shares will be listed and traded on the Exchange pursuant to the
initial and continued listing criteria in Exchange Rule 14.11(c). As
noted above, the Shares of the Fund currently satisfy all of the
generic listing standards for Index Fund Shares except for the volume
requirement under Rule 14.11(c)(3)(A)(ii)(b), which the Index only
narrowly misses. The Exchange also reiterates that the continued
listing standards under Exchange Rule 14.11(c)(9)(B) applicable to
Index Fund Shares shall apply to the Shares, and the Trust is required
to comply with Rule 10A-3 under the Act for the initial and continued
listing of the Shares.\14\ In addition, the Exchange represents that
the Shares will comply with all other requirements applicable to Index
Fund Shares including, but not limited to, requirements relating to the
dissemination of key information such as the Index value and intraday
indicative value, the rules governing the trading of equity securities,
trading hours, trading halts, surveillance, and the Information
Circulars to members of the Exchange, as set forth in Exchange rules
applicable to exchange traded funds (Index Fund Shares) and in the
Commission's order approving the generic listing rules applicable to
the listing and trading of exchange traded funds (Index Fund Shares).
The Exchange has in place surveillance procedures that are adequate to
properly monitor trading in the Shares in all trading sessions and to
deter and detect violations of Exchange rules and applicable federal
securities laws. The Exchange may obtain information via ISG from other
exchanges that are members of ISG or with which the Exchange has
entered into a comprehensive surveillance sharing agreement. The
Exchange notes that the Index component stocks are listed and traded on
NASDAQ OMX Copenhagen A/S, which is a member of the ISG.
---------------------------------------------------------------------------
\14\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------
The proposed rule change is designed to promote just and equitable
principles of trade and to protect investors and the public interest in
that a large amount of information is publicly available regarding the
Fund and the Shares, thereby promoting market transparency. The
Consolidated Tape Association will disseminate real time trade and
quote information for the Shares. In addition, the current Index value
will be widely disseminated by one or more major market data vendors at
least every 60 seconds during the Exchange's regular market session.
Moreover, prior to the commencement of trading, the Exchange will
inform its Members in an Information Circular of the special
characteristics and risks associated with trading the Shares. The
Exchange will halt trading in the Shares in accordance with Exchange
Rules. The grounds for a halt include a halt because the intraday
indicative value of the security and/or the value of its underlying
index are not being disseminated as required, a halt for other
regulatory reasons or due to other conditions or circumstances deemed
to be detrimental to the maintenance of a free and orderly market. In
addition, as noted above, investors will have ready access to
information regarding the Fund, the current Index value, the intraday
indicative value, and quotation and last sale information for the
Shares.
The Exchange believes that the proposed rule change is designed to
remove impediments to, and perfect the mechanism of, a free and open
market and a national market system in that the listing and trading of
the Fund on the Exchange will enhance competition among market
participants, which the Exchange believes will benefit investors and
the marketplace. The Exchange is commencing a listings business at a
time when there are two dominant primary listing venues, the New York
Stock Exchange and Nasdaq. Because the proposal will allow the Fund to
list and trade on the Exchange, and without the proposal the Fund would
likely be listed on another market, the Exchange believes that the
proposal will provide companies with another option for raising capital
in the public markets, thereby promoting the aforementioned principles
discussed in Section 6(b)(5) of the Act.\15\ In addition, as noted
above, investors will have ready access to information regarding the
Fund's
[[Page 8317]]
holdings, the current Index value, the intraday indicative value, and
quotation and last sale information for the Shares.
---------------------------------------------------------------------------
\15\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
(B) Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change imposes
any burden on competition.
(C) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change.
III. Date of Effectiveness of the Proposed Rule Changes and Timing for
Commission Action
The Exchange has filed the proposed rule change pursuant to Section
19(b)(3)(A)(iii) of the Act \16\ and Rule 19b-4(f)(6) thereunder.\17\
Because the foregoing proposed rule does not (i) significantly affect
the protection of investors or the public interest; (ii) impose any
significant burden on competition; and (iii) become operative for 30
days from the date on which it was filed, or such shorter time as the
Commission may designate if consistent with the protection of investors
and the public interest, provided that the self-regulatory organization
has given the Commission written notice of its intent to file the
proposed rule change at least five business days prior to the date of
filing of the proposed rule change or such shorter time as designated
by the Commission,\18\ the proposed rule change has become effective
pursuant to Section 19(b)(3)(A) of the Act \19\ and Rule 19b-4(f)(6)
thereunder.\20\
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\16\ 15 U.S.C. 78s(b)(3)(A)(iii).
\17\ 17 CFR 240.19b-4(f)(6).
\18\ The Commission notes that the Exchange has satisfied this
requirement.
\19\ 15 U.S.C. 78s(b)(3)(A).
\20\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------
The Commission believes that the proposed rule change is properly
designated as ``non-controversial'' under Rule 19b-4(f)(6) because the
Index for the Fund fails to meet the requirements set forth in Rule
14.11(c)(3)(A)(ii)(b) by a small amount, and the Shares of the Fund
currently satisfy all of the other applicable generic listing standards
under Rule 14.11(c)(3)(A)(ii) and all other requirements applicable to
Index Fund Shares, as set forth in the Exchange's rules. As described
above, 83.22% of the Fund is comprised of component stocks with over
250,000 shares traded in each of the last six months. The Exchange
represents that the Shares of the Fund currently satisfy all of the
generic listing standards for Index Fund Shares except for the volume
requirement under Rule 14.11(c)(3)(A)(ii)(b), the continued listing
standards under Exchange Rule 14.11(c)(9)(B) applicable to Index Fund
Shares shall apply to the Shares, and the Trust is required to comply
with Rule 10A-3 under the Act \21\ for the initial and continued
listing of the Shares. In addition, the Exchange represents that the
Shares will comply with all other requirements applicable to Index Fund
Shares including, but not limited to, requirements relating to the
dissemination of key information such as the Index value and intraday
indicative value, the rules governing the trading of equity securities,
trading hours, trading halts, surveillance, and the Information
Circulars to members of the Exchange, as set forth in Exchange rules
applicable to Index Fund Shares and in the Commission's order approving
the generic listing rules applicable to the listing and trading of
Index Fund Shares.
---------------------------------------------------------------------------
\21\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------
A proposed rule change filed under Rule 19b-4(f)(6) normally does
not become operative for 30 days after the date of filing. However,
Rule 19b-4(f)(6)(iii) \22\ permits the Commission to designate a
shorter time if such action is consistent with the protection of
investors and the public interest. The Exchange has asked that the
Commission waive the 30 day operative delay so that the proposed rule
change may become immediately effective in accordance with Section
19(b)(3)(A) of the Act \23\ and Rule 19b-4(f)(6) thereunder.\24\ The
Commission believes that waiver of the operative delay is consistent
with the protection of investors and the public interest. The
Commission notes that the Index narrowly misses only one component of
the criteria applicable to Index Fund Shares and that the Shares of the
Fund currently satisfy all of the other generic listing standards under
Exchange Rule 14.11(c) and all other requirements applicable to Index
Fund Shares, as set forth in Exchange rules and prior Commission orders
approving the generic listing rules applicable to the listing and
trading of Index Fund Shares. The Commission believes that the listing
and trading of the Shares do not present any novel regulatory issues or
impose any significant burden on competition, and that waiving the 30-
day operative delay would benefit the market and investors by providing
market participants with additional investing choices. For these
reasons, the Commission designates the proposal operative upon
filing.\25\
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\22\ 17 CFR 240.19b-4(f)(6)(iii)
\23\ 15 U.S.C. 78s(b)(3)(A).
\24\ 17 CFR 240.19b-4(f)(6).
\25\ For purposes only of waiving the 30-day operative delay,
the Commission has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
---------------------------------------------------------------------------
At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to rule-comments@sec.gov. Please include
File Number SR-BATS-2012-004 on the subject line.
Paper Comments
Send paper comments in triplicate to Elizabeth M. Murphy,
Secretary, Securities and Exchange Commission, 100 F Street NE.,
Washington, DC 20549.
All submissions should refer to File Number SR-BATS-2012-004. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (https://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of such filing
[[Page 8318]]
also will be available for inspection and copying at the principal
office of the Exchange. All comments received will be posted without
change; the Commission does not edit personal identifying information
from submissions. You should submit only information that you wish to
make available publicly. All submissions should refer to File Number
SR-BATS-2012-004 and should be submitted on or before March 6, 2012.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\26\
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\26\ 17 CFR 200.30-3(a)(12).
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Kevin M. O'Neill,
Deputy Secretary.
[FR Doc. 2012-3331 Filed 2-13-12; 8:45 am]
BILLING CODE 8011-01-P
